As a rule, I try not to lure readers into eternal damnation. Purely for academic interest, though, note that so-called sin stocks provide generous returns.

Over 41 years ended 2006, alcohol, tobacco and gambling shares returned about 3.5 percentage points a year more than other stocks, according to a new study slated for publication in the Journal of Financial Economics. Ironically, scrupulous investors might have created the outperformance by shunning such stocks, thereby leaving them available to other investors at bargain prices.

The study s authors, Harrison Hong of Princeton University and Marcin Kacperczyk of New York University, found that institutions like pension funds owned just 23% of the shares of their average vice company versus 28% for ordinary companies. Sin stocks were covered by an average of 1.3 analysts compared with 1.7 for other stocks. Also, sin shares were 15% to 20% cheaper based on valuation ratios.

Socially irresponsible investing offers three other perks. Vice goods and services tend to sell relatively well during economic downturns. Low share prices can make for giant dividend yields. And vice companies are likely to use conservative accounting, since their wares subject them to close regulatory scrutiny.

Choose your sin carefully, though. The risks of a deteriorating business or industry trump the allure of forbidden goods. Investors who relied on cigarettes and beer for stock performance over the past three years have likely done much better than the broad market, which has fallen by about a third. Those who took a chance on gambling stocks have done much worse, since casinos have been hampered by deep debt and a plunge in travel. Publicly-traded porn has lost appeal, too. I ve argued here before that Playboy (PLA) greatest sins are poor management, an unfair voting structure and a stuck-in-the- 70s business model; Playboy magazine is today too smutty for subway readers and not smutty enough for porn buyers. Management has recently changed, but long-term challenges remain.

Also, differing definitions of sin can affect returns. The Vice Fund (VICEX), a mutual fund loaded with alcohol and tobacco shares, outperformed the S&P 500 index over three years through March, but trailed it over the past year. Recent laggards include aerospace names like Boeing (BA). It s business of building jumbo jets might not seem like the devil s work (at least to premium-class passengers), but many big aviation companies also have a hand in weapons -- sin or salvation, depending on your view.

The transgressors listed below offer modest valuation and generous dividends.